We do not have a Cobol agent directly, however there are a few things you can do.
1) If you have access to the sourcecode, and are able to make calls to native libraries, you could use the Native ADK to manually place instrumentation in the source and rebuild the app.
2) Use Dynatrace instead of AppMon. Dynatrace will collect more process level metrics and still provide some level of behavior data, this is more than what AppMon provides today.
3) Use DCRUM.